Incubation is an energetically demanding process for parents, in part because of the thermodynamic costs of maintaining egg temperature. One might predict that aspects of nest construction—in particular, the thermodynamic properties of the nesting material and the degree to which the nest provides shelter from the wind—would have important effects on thermodynamic costs. However, little is known about the relative importance of those factors. Here, we investigate egg cooling rates in several commonly used nesting materials and in various wind speeds and examine the effect on those rates of wetting the materials. Nesting materials differ greatly in their insulating properties; feather down is the best insulator, and grass the worst. When the materials are wet, eggs cool much more rapidly, differences between materials tend to diminish, and down becomes the worst insulator. Hence, there may be significant selection pressure to choose particular nesting materials, but materials may be better or worse according to the situation of the nest. Increasing wind speed also has profound effects on egg cooling rates, even at the low speeds tested here, which implies strong selection pressure to locate and construct nests that minimize wind speed at the egg surface. Our results suggest that nest construction may have an important bearing on the subsequent costs of reproduction, and that important trade-offs may exist between nest construction for reduced thermodynamic costs, and other costs and benefits of nest-building and reproduction.